Style analysis and Value-at-Risk of Asia-focused hedge funds

In this paper we identify risk factors for Asia-focused hedge funds through a modified style analysis technique. Using an Asian hedge fund index, we find that Asian hedge funds show significant positive exposures to emerging equity markets. For both a static and rolling period style analysis, our model provides a high explanatory power for returns of the considered hedge fund index. We further conduct a Value-at-Risk analysis using the results of a rolling window style analysis as inputs. Our findings suggest that the considered parametric models outperform a simple historical simulation that is purely based on past return observations.     

Financial intermediation and the role of price discrimination in the foreign exchange market

Foreign exchange trading is performed in opaque and decentralized markets. The two-tier market structure consisting of a customer segment and an interdealer segment to which only market makers have access gives rise to the possibility of price discrimination. We develop a theoretical pricing model that accounts for market-power considerations and analyze a database of the trades of a foreign exchange market maker. We find that the market maker generally exerts low bargaining power vis-á-vis customers. The dealer earns lower average spreads on trades with financial customers than commercial customers, even though the former are perceived to convey exchange-rate-relevant information.     

Telemonitoring bei Patienten mit arterieller Hypertonie – medizinischer Nutzen und Wirtschaftlichkeit

Background

Arterial hypertension is a widely spread disease which can lead to serious adverse events. On the one hand, an optimal therapy should be provided, and on the other hand it is of major importance to search actively for opportunities to further improve usual care.

Objectives

The objective is to conduct a literature review about “Improvement of health care by telemonitoring in patients with arterial hypertension”. Moreover, potential target groups for telemonitoring and the cost-effectiveness of telemonitoring are discussed.

Methods

Firstly, it was searched for relevant reviews with help of predefined search terms and in- and exclusion criteria (2005–2015). Subsequently, the second step consisted of a literature search for RCTs (2013–2015). The final studies (12 reviews/6 RCTs) were systematically analyzed and summarized in a qualitative way.

Results

It is clear that blood pressure telemonitoring is able to lower blood pressure additionally to usual care. With regards to emerging costs, telemonitoring is initially associated with higher costs. When long-term effects are taken into account, telemonitoring can be classified as cost-effective (1 study). Furthermore, specific patient subgroups (such as patients with uncontrolled hypertension) can particularly benefit from telemonitoring.

Conclusions

It is clear that telemonitoring results in an additional reduction of blood pressure compared to usual care. High risk groups can particularly benefit from telemonitoring. Future telemedical studies should focus more on health economic aspects as the current evidence is limited.

     

Co-movement of revenue: structural changes in the business cycle

The co-movement of revenue growth across different industries changes over the business cycle. Using a large sample of quarterly firm revenues, aggregated to industry data from 1969 to 2009, we demonstrate that the correlation is the highest during a crisis. Our findings of structural changes in correlation have implications for diversification decisions in portfolio analysis and risk management. The higher correlation in crisis periods increases the downside risk and bankruptcy probability of business portfolios. We test the hypothesis that average correlations are significantly different, by applying permutation and bootstrap techniques. As robustness checks, both correlations between industries and the aggregate market and correlations between earnings confirm our findings.     

Mutual Fund Growth in Standard and Specialist Market Segments

This paper is concerned with differences in the performance-flow relationship (PFR) between standard and specialist market segments of the mutual fund industry. We expect differences in this relationship because investor characteristics might vary across different segments. Our results show that the PFR is more convex in standard segments than in specialist segments. Furthermore, investors in standard segments are less risk-averse and invest more in high-load funds than investors in specialist segments. Our findings are consistent with investors in standard segments being less sophisticated than investors in specialist segments and relying more heavily on the advice of financial brokers, which is compensated for by load fees.     

Competitive balance and gate revenue sharing in team sports

This paper shows that under reasonable conditions, increasing gate revenue sharing among teams in a sports league will produce a more uneven contest, i.e. reduce competitive balance. This result has significant implications for antitrust authorities and legislators, who have tended to assume that revenue sharing arrangements will necessarily promote competitive balance.     

Taxonomic Model of Withdrawal Behaviors: The Adaptive Response Model

This article presents and develops a theoretical model (The Adaptive Response Model; ARM) that proposes how employees adapt to the organization following changes in organizational policies that are perceived as dissatisfying. The ARM combines several streams of theoretical and empirical research in IO-Psychology. It suggests that different type of employees (i.e., institutionalized stars, citizens, lone wolves, and apathetics) resort to different behaviors to adjust to dissatisfying events. Institutionalized stars tend to exercise voice, lone wolves tend to exit, citizens tend to accept, and apathetics tend to resort to alternative forms of withdrawal (e.g., lateness, absenteeism, and theft). Implications for the management of each employee type as well as suggestions for future research are discussed.     

Federalism and decentralization—a critical survey of frequently used indicators

The economic effects of federalism are unclear: some papers find that federalism has strong positive effects on a number of economically relevant variables, others find negative effects. The results often crucially hinge on the proxies for federalism used. In this paper, we critically survey the existing indicators for both federalism and fiscal decentralization. We argue that federalism is a constitutional institution, whereas decentralization is the outcome of a policy choice, and that the two ought to be systematically distinguished because decentralization can also occur in nonfederally structured states. We further argue that institutional details are very important with regard to federalism and that dummy variables usually capture only very specific aspects of these institutional details. We use factor analysis to test whether the latent variables behind the observed indicators support these assumptions. More than two important factors are derived, implying that a more fine-grained differentiation beyond simply “‘federalism” and “decentralization” might be in order. The correlations of the most important proxies for various aspects of federalism and decentralization with a number of quasi-exogenous variables, as well as with institutional variables, are usually rather modest.